A Gaussian approximation theorem for Lévy processes
arXiv:2104.13855 · doi:10.1016/j.spl.2021.109187
Abstract
Without higher moment assumptions, this note establishes the decay of the Kolmogorov distance in a central limit theorem for Lévy processes. This theorem can be viewed as a continuous-time extension of the classical random walk result by Friedman, Katz and Koopmans.
4 pages